The impact of liquidity constraints on the cash-futures basis dynamics : evidence from the Chinese market
Year of publication: |
2019
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Authors: | Wu, Lei ; Zeng, Hongchao |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 83.2019, p. 96-110
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Subject: | Arbitrage activities | Basis dynamics | Liquidity constraints | Threshold VECM | Liquiditätsbeschränkung | Liquidity constraint | Arbitrage | China | Schätzung | Estimation | Betriebliche Liquidität | Corporate liquidity | Aktienmarkt | Stock market |
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